DIMENSION PRO

Presumably this was a MIDI file you got from somewhere else and imported into your project. Whoever created it originally - assuming they meant for it to be distributed - should have removed any non-generic CCs. It's not uncommon when grabbing files of unknown origin that you have to do some cleanup before you can use them.
 
An NRPN is by definition synth-specific, meaning it will either be ignored by other synths or cause unexpected actions. Consequently, it's prudent to strip them out of the file unless you're using the same synthesizer that the file was originally created for. So no, you're not doing anything wrong, just neglecting to clean up the data before using it with Dim Pro.
 
Fortunately, it's pretty easy to hunt down and remove unwanted MIDI events via the Event List. There are buttons at the top that allow you to specify which types of events to display. Usually, just eliminating note events from the list is all you need to do to quickly find the CCs.